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Rockinger, Michael's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
8,573 |
Total
Citations
304 |
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1.
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Conditional Volatility, Skewness and Kurtosis: Existence and Persistence
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Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) Jondeau, Eric
University of Lausanne
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Posted:
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17 Apr 01
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Last Revised:
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27 Dec 10
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1,203
(6,777)
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64
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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70
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64
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GRCH, Stock indices, Exchange rates, Interest rates, SNOPT VaR
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Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) Jondeau, Eric
University of Lausanne
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1,133
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64
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Garch, stock indices, exchange rates, interest rates, SNOPT, VaR
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2.
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Optimal Portfolio Allocation Under Higher Moments
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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Posted:
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28 May 04
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Last Revised:
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19 Dec 10
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1,003
(9,232)
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45
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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41
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45
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Asset allocation, Stock returns, Non-normality, Utility function
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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12
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45
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asset allocation, stock returns, non-normality, utility function.
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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950
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45
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Asset allocation, Stock returns, Non-normality, Utility function
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3.
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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970
(9,705)
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8
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International correlation, Stock indices, Skewed Student-t distribution
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4.
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Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) Poon, Ser-Huang
University of Manchester - Business School Tawn, Jonathan
Lancaster University - Department of Mathematics and Statistics
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894
(11,014)
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5
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Asymptotic independence, Extreme value theory, Hill's estimator, Tail index, Risk management
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5.
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Conditional Dependency of Financial Series: An Application of Copulas
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Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) Jondeau, Eric
University of Lausanne
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Posted:
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05 Apr 01
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Last Revised:
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26 Dec 10
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759
(14,215)
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24
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Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) Jondeau, Eric
University of Lausanne
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51
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24
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International correlation, Market integration, ARCH, Stock indices
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Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) Jondeau, Eric
University of Lausanne
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708
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24
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International correlation, market integration, ARCH, stock indices, exchange rates
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6.
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Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) Semenova, Maria
University of Lausanne - Institute of Banking and Finance (IBF)
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456
(28,751)
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2
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Modeling asset prices, Affine jump-diffusions, Characteristic
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7.
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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385
(35,656)
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8
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Volatility, Skewness, Kurtosis, GARCH, model, Multivariate skewed Student-t distribution, Stock returns, Asset allocation, Emerging markets
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8.
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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362
(38,440)
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Systemic Risk, Marginal Expected Shortfall, Multi-factor Model, Volatility, Correlation
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9.
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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323
(44,119)
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7
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Asset allocation, Stock returns, Non-normality, Utility function
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10.
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Jondeau, Eric
University of Lausanne Jurczenko, Emmanuel
ESCP Europe - Department of Economics Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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258
(57,127)
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1
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PCA, ICA, Skewness, Kurtosis, Portfolio analysis, Tensor, HOOI, Random Matrix Theory.
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11.
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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252
(58,683)
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8
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Volatility, Skewness, Kurtosis, GARCH model, Multivariate skewed Student t distribution, Stock returns
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12.
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Jondeau, Eric
University of Lausanne Perilla, Augusto
affiliation not provided to SSRN Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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245
(60,427)
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Optimal trading strategy, liquidity risk, price impact, high frequency data, microstructure
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13.
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The Economic Value of Distributional Timing
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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Posted:
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16 Jan 07
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Last Revised:
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30 Sep 07
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244
(60,708)
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6
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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109
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6
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Non-normality, volatility timing, distributional timing, GARCH, portfolio allocation
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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135
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6
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Non-normality, volatility timing, distributional timing, GARCH, portfolio allocation
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14.
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Market Liquidity and Institutional Trading During the 2007-8 Financial Crisis
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Poon, Ser-Huang
University of Manchester - Business School Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) Stathopoulos, Konstantinos
University of Manchester - Manchester Business School
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Posted:
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20 Jun 11
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Last Revised:
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22 Aug 12
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195
(76,583)
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Poon, Ser-Huang
University of Manchester - Business School Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) Stathopoulos, Konstantinos
University of Manchester - Manchester Business School
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41
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institutional herding, institutional count, institutional holdings, market liquidity, financial crises
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Poon, Ser-Huang
University of Manchester - Business School Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) Stathopoulos, Konstantinos
University of Manchester - Manchester Business School
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20 Jun 11
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Last Revised:
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22 Aug 12
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154
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Institutional Herding, Institutional Count, Institutional Holdings, Market Liquidity, Financial Crises
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15.
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Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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177
(84,023)
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Extreme value theory, Generalized extreme value distribution, Emerging markets
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16.
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Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) Jondeau, Eric
University of Lausanne
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146
(100,153)
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3
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17.
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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128
(111,882)
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Stock Returns, Predictability, Estimation risk, Portfolio Choice
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18.
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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121
(117,141)
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21
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Hermite expansions, Semi-nonparametric estimation, Risk-neutral density, GARCH model
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19.
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Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) Jondeau, Eric
University of Lausanne
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104
(131,425)
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6
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Mean-variance, Allocation
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20.
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Holly, Alberto
University of Lausanne Monfort, Alain
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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82
(153,782)
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Quartic Exponential Family, Pseudo Maximum Likelihood, Skewness, Kurtosis
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21.
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The Tail Behavior Of Stock Returns: Emerging Versus Mature Markets
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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Posted:
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13 Sep 99
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Last Revised:
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05 Jan 11
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65
(176,086)
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12
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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65
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12
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Extreme value theory, Generalized Pareto distribution, Stock-market
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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0
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22.
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Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and Notional Operators Appreciated the 1997 French Snap Election
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Coutant, Sophie
Banque de France Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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Posted:
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17 Feb 99
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Last Revised:
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05 Jan 11
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44
(211,516)
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16
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Coutant, Sophie
Banque de France Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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44
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16
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Risk neutral density, Futures option pricing, PIBOR, Notional, Political risk
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Coutant, Sophie
Banque de France Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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0
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23.
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Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral Densities
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Versions (1)
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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39
(221,660)
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25
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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39
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25
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Risk neutral density, Option pricing, Exchange rate option
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24.
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Poon, Ser-Huang
University of Manchester - Business School Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) Tawn, Jonathan
Lancaster University - Department of Mathematics and Statistics
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33
(235,287)
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6
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Asymptotic independence, extreme value theory, Hill's estimator, tail index
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25.
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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25
(257,852)
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18
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Semi-nonparametric estimation, Time-varying skewness and kurtosis, GARCH
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26.
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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25
(257,852)
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6
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Emerging markets, mean-variance allocation, sequential Bayesian learning, structural breaks
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27.
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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19
(278,476)
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6
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Mutual funds, Performance, SICAV, FCP
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28.
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Abadir, Karim M.
Imperial College Business School Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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16
(289,132)
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7
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29.
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Abadir, Karim M.
Imperial College Business School Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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30.
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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C22, C51, G12, GARCH model, non-normality, kurtosis, skewness, stock returns, volatility
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31.
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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Asset Allocation, Stock Returns, Non-Normality, Utility Function
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32.
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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33.
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Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) Urga, Giovanni
Cass Business School, Faculty of Finance, London
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34.
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Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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35.
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Crouhy, Michel
Canadian Imperial Bank of Commerce - Risk Management Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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